Econometrics Research Seminar, 1998/99 - 2004/05

| 1998/99 | 1999/00 | 2000/01 | 2001/02 | 2002/03 | 2003/04 | 2004/05 |

To find the Archives for more recent years, go to the Events/Seminars page and scroll to the bottom, Past Events

2004/05  
Sep. 8 David Harris, University of Melbourne, “Panel Stationarity Tests for Purchasing Power Parity with Cross-Sectional Dependence” (with Stephen Leybourne and Brendan McCabe) [Paper]
Sep. 22 Rustam Ibragimov, Yale University, “On the Robustness of Economic Models to Heavy-Tailedness Assumptions”
Sep. 29 Kevin Song, Yale University, “Testing Semiparametric Conditional Moment Restrictions via Conditional Martingale Transforms”
Oct. 4 Manuel Arellano, CEMFI, “Robust Likelihood Estimation of Dynamic Panel Data Models” (with Javier Alvarez) [Paper]
Oct. 13 Vadim Marmer, Yale University, “Nonlinearity, Nonstationarity, and Spurious Forecasts”
Oct. 20 Erik Hjalmarsson, Yale University, “Predicting Global Stock-Returns with New Methods for Pooled and Long-Run Forecasting Regressions”
Oct. 26 Ryo Okui, Yale University and University of Pennsylvania, “Shrinkage Methods for Instrumental Variable Estimation” [Paper]
Oct. 27 Oliver Linton, London School of Economics, “Nonparametric Estimation of Homothetic and Homothetically Separable Functions” (with Arthur Lewbel) [Paper]
Nov. 3 P. Jeganathan, Indian Statistical Institute, “Asymptotic Inference in Some Nonlinear Time Series Models”
Nov. 10 Stefan Hoderlein, University of Mannheim, “Nonparametric Demand Analysis in a Heterogeneous Population Using LPR Based Estimators” [Paper] (Second paper with Norbert Christopeit)
Dec. 1 Yuichi Kitamura, Yale University, “Nonparametric Identifiability of Finite Mixtures”
Mar. 2 Masao Ogaki, Ohio State University, “Structural Spurious Regressions and a Hausman-Wu-Type Cointegration Test” (with Ling Hu) [Paper]
Mar. 23 Whitney Newey, MIT, “Improved Inference for GMM with Many Moments” [Paper] (Additional Paper with C. Hansen and J. Hausman  []
Mar. 31 Rosa Matzkin, Northwestern University, “Identification and Estimation in Structural Nonparametric Models” [Paper]
   Joint with Applied Microeconomics Workshop
Apr. 6 Werner Ploberger, University of Rochester and Yale University, “Optimal Estimation under Nonstandard Conditions” (with Peter Phillips)
Apr. 20 Bryan S. Graham, Harvard University, “Identifying Social Interactions Through Excess Variance Contrasts” [Paper]
Apr. 27 Juan Carlos Escanciano, University of Navarra and Yale University, “Model Checks Using Residual Marked Empirical Processes” [Paper]
2003/04  
Sep. 17 Jushan Bai, New York University, “Evaluating Latent and Observed Factors in Macroeconomics and Finance” (with Serena Ng) [Paper] and “Confidence Intervals for Principal-Components Forecasts with Large Numbers of Predictors” (with Serena Ng) [Paper]
Sep. 24 Offer Lieberman, Technion – Israel Institute of Technology, “Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra” (with Peter C.B. Phillips) [Paper]
Oct. 1 Tim Vogelsang, Cornell University, “A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests” (with Nicholas M. Kiefer) [Paper]
Oct. 3 Josh Angrist, MIT, “Treatment Effect Heterogeneity in Theory and Practice” [Paper]
  Joint with Labor and Population
Oct. 8 Feng Zhu, Yale University, “Central Bank Balanced Sheet Concerns, Monetary and Fiscal Rules, and Macroeconomic Instability” [Paper]
Oct. 15 Sainan Jin, Yale University, “Discrete Choice Modeling with Nonstationary Panels”
Oct. 22 Dietmar Bauer, TU Wien (Vienna University of Technology), “Subspace Methods for the Estimation of ARMA Models” [Paper]
Oct. 29 P. Jeganathan, Indian Statistical Institute, “Asymptotics in Some Nonlinear Cointegrated Models” based on the following two papers: “Second Order Limits of Functionals of Sums of Linear Processes that Converge to Fractional Stable Motions” [Paper] and “Convergence of Functionsld og Dumd of r.v.s. to Local Times of Fractional Stable Motions” [Paper]
Nov. 5 Luke Hong, Yale University, “Testing Linearity in Cointegrating Relations: Application to PPP”
Nov. 12 Jiti Gao, The University of Western Australia, “Model Selection in Nonparametric and Semiparametric Regression” [Paper]
Dec. 3 Guido Kuersteiner, MIT, “Bias Reduction for Dynamic Nonlinear Panel Models with Fixed Effects” (with Jinyong Hahn) [Paper]
Dec. 10 Luke Hong, Yale University, “Testing Linearity in Cointegrating Relations: Application to PPP”
Feb. 11 Yoon-Jae Whang, Korea University, “Consistent Testing for Stochastic Dominance under General Sampling Schemes” (with Oliver Linton and Esfandiar Maasoumi) [Paper]
Feb. 25 Dietmar Bauer, Vienna University of Technology, “State Space Representations for Rational Unit Root Processes” (with Martin Wagner) [Paper]
Mar. 1 Christian Bender, University of Konstanz, “Integration with Respect to a Fractional Brownian Motion and the Fractional Black-Scholes Market”
Mar. 3 Alex Maynard, University of Toronto, “Covariance-based Orthogonality Tests for Regressors with Unknown Persistence with Application to Stock Return Predictability” (with Katsumi Shimotsu) [Paper]
Mar. 29 Tony Smith, Yale, “Generalized Indirect Inference for Discrete Choice Models” (with Michael Keane) [Paper]
Apr. 21 Jack Porter, Harvard University, “Efficiency in Asymptotic Shift Experiments” (with Keisuke Hirano) [Paper]
Apr. 28 Joseph Altonji, Yale, “Selection on Observed and Unobserved Variables: Assessing the Effectiveness of Catholic Schools” (with Todd E. Elder and Christopher R. Taber) [Paper]
2002/03  
Sep. 18 Guido Kuersteiner, MIT, “Higher Order Properties of Bootstrap and Jackknife Bias Corrected Maximum Likelihood Estimators” (with Jinyong Hahn and Whitney Newey) [Paper]
Oct. 2 Patrik Guggenberger, Yale University, “Generalized Empirical Likelihood and Weak Instruments” [Paper]
Oct. 16 Lingfeng Li, Yale University, “Correlation of Stock and Bond Returns”
Oct. 23 Jun Yu, University of Auckland, “A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options” [Paper]
Oct. 30 Bjorn Tuypens, Yale University, “Stock Market Predictability: Theory and Econometric Tests”
Nov. 6 Jong Kim, Yale University, “Higher-Order Improvements of the Restricted Parametric Bootstrap for Tests”
Nov. 13 Katsumi Shimotsu, University of Essex, “Exact Local Whittle Estimation of Fractionally Cointegrated Systems”
Nov. 20 George Korniotis, Yale University, “Testing External Habits in U.S. State Consumption”
Dec. 4 P. Jeganathan, Indian Statistical Institute, “Convergence of Functionals of Sums of Fractionally Integrated Processes” [Paper]
Dec. 11 P. Jeganathan, Indian Statistical Institute, “Asymptotic Inference in Nonlinear Conintegrated Time Series with Fractionally Integrated and Possibly Heavy Tailed Errors” [Paper] and “Asymptotic Inference in A Non-Linear Cointegrated Model” [Paper]
Feb. 19 John Chao, University of Maryland, “Consistent Estimation with a Large Number of Weak Instruments”
Feb. 26 Hannes Leeb, Temple University, “Performance Limits for Estimators of the Risk or Distribution of Shrinkage-Type Estimators, and Some General Lower Risk-Bound Results”
Mar. 5 Donald Brown and Marten Wegkamp, Yale University, “Tests of Independence in Separable Econometric Models” [Paper]
Apr. 2 Matthew Rabin, “Piecemeal Preferences”
Apr. 9 Guido Imbens, University of California, Berkeley, “Identification and Inference in Nonlinear Difference-in-differences Models” (with Susan Athey) [Paper]
   Joint with Labor and Population
Apr. 16 Yuichi Kitamura, University of Pennsylvania, “A Likelihood-based Approach to the Analysis of a Class of Nested and Non-nested Models” [Paper]
Apr. 30 Andrew Chesher, University College London, “Instrumental Values” [Paper]
2001/02  
Sep. 19 Bo Honoré, Princeton University, “Estimation of Cross Sectional and Panel Data Censored Regression Models with Endogeneity”
Oct. 3 Ling Hu, Yale University, “Dependence Patterns across Markets: Methods and Evidence”
Oct. 8 Richard Smith, University of Bristol, “Alternative Methods for Heteroskedastic and Autocorrelation Variance Matrix Estimation”
Oct. 10 Richard Smith, University of Bristol, “Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators”
Oct. 31 Yixiao Sun, Yale University, “Modeling Panel Clusters with Application in Convergence Clubs”
Nov. 7 Alberto Abadie, John F. Kennedy School, Harvard University, “Simple and Bias-Corrected Matching Estimators for Average Treatment Effects”
Nov. 28 Frank Kleibergen, University of Amsterdam, “Testing Parameters in GMM Without Assuming That They are Identified”
Dec. 5 Ray C. Fair, Yale University, “Bootstrapping Macroeconometric Models”
Jan. 30 Oliver Linton, London School of Economics, “Estimation of Semiparametric Models When the Criterion Function Is Not Smooth”
Feb. 6 Oliver Linton, London School of Economics, “Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems”
Feb. 11 Oliver Linton, London School of Economics, “Estimating Semiparametric ARCH(inf) Models by Kernel Smoothing Methods”
  Joint with Prospectus Workshop in Econometrics
Feb. 27 Offer Lieberman, Technion-Israel Institute of Technology, “High-order Theory of Fractional Guassian Processes”
Mar. 27 Zhijie Xiao, University of Illinois at Urbana-Champaign, “Efficient Regression in Time Series Partial Linear Models”
Apr. 3 Katsumi Shimotsu, University of Essex, “Exact Local Whittle Estimation of Fractional Integration”
Apr. 8 Keith Knight, University of Toronto, “Asymptotics for Argmin Estimators”
   Joint with Econometrics Prospectus
Apr. 10 Keith Knight, University of Toronto, “Regression Quantiles: Second Order Considerations”
Apr. 24 Jong Kim, Yale University and Morten Nielsen, Yale University “Semiparametric Estimation of Time Series Regression with Long Range Dependence”
May 13 John Geweke, University of Iowa, “Compound Markov Mixture Models with Appliations in Finance”
   Joint with Econometrics Prospectus
2000/01  
Sep. 13 Offer Lieberman, Technion-Israel Institute of Technology/Cowles visitor, “Valid Asymptotic Expansions for the Maximum Likelihood Estimator of the Parameter of a Stationary, Gaussian, Strongly Dependent Process”
Sep. 20 Xiaohong Chen, London School of Economics, “Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions” (with Chunrong Ai).
Oct. 4 Konstantin Tyurin, Yale University, “A Semiparametric Competing Risk Model of a Limit Order Market”
Oct. 18 David McKenzie, Yale University, “Consumption Growth in a Booming Economy: Taiwan 1976-96”
Nov. 1 Guido Kuersteiner, MIT, “Weak Instruments in Dynamic Panel Models with Fixed Effects”
Nov. 29 Dmitry Dubasov, Yale University, Corporate Investment and Financing Constraints”
Feb. 14 In Choi, Yale University, “Cointegrating Smooth Transition Regressions with Applications to the Asian Currency Crisis”
Feb. 28 Sam Thompson, Harvard University, “Specification Tests for Conditional Distributions, with an Application to Models for the Spot Interest Rate”
Mar. 21 Javier Hidalgo, LSE, “Estimation of the Location of the Pole: The Parametric and Nonparametric Approach”
Mar. 28 Robert de Jong, Michigan State University, “Least Squares with Powers of Integrated Processes as Regressors”
Apr. 11 Susanne Schennach, University of Chicago, “Estimation of Nonlinear Models with Measurement Error”
1999/00  
Sep. 22 Peter C.B. Phillips, Yale University, “Discrete Fourier Transforms of Fractional Processes”
Sep. 29 Katsumi Shimotsu, Yale University, “Local Whittle and Modified Local Whittle Regression in the Nonstationary Case”
Oct. 6 Chang Sik Kim, Yale University, “Asymptotics of Log Periodogram Regression: The Nonstationary Case”
Oct. 13 Kostya Tyurin, Yale University, “Local Density of Fractional Brownian Motion”
Oct. 20 Moto Shintani, Yale University, “Is There Chaos in the U.S. Economy? Testing the Statistical Significance of Lyapunov Exponent from Neural Networks”
Oct. 22 Robert Engle, University of California, San Diego, “CAViaR: Conditional Value at Risk by Regression Quantiles”
Oct. 23-24 COWLES CONFERENCE: New Developments in Time Series Econometrics
Oct. 27 Thong Nguyen, Yale University, “A Nonparametric Analysis of the Heath-Jarrow-Morton Models of Interest Rate”
Nov. 3 Joon Park, Seoul National University/Cowles visitor, “Nonlinear Regressions with Integrated Time Series”
Nov. 10 Yoon-Jae Whang, Ewha Womans University/Cowles visitor, “Testing for the Martingale Hypothesis”
Nov. 17 Yoosoon Chang, Rice University/Cowles visitor, A Sieve Bootstrap for the Test of a Unit Root”
Dec. 1 Donald Andrews, Yale University, “Higher-order Improvements of a Computationally Attractive k-step Bootstrap for Extremum Estimators”
Jan. 27 Yacine Ait-Sahalia, Princeton University, “Maximum-likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approach”
Feb. 10 Christopher Sims, Yale University, “A Bayesian Perspective on Non-Parametrics”
Feb. 19 Joel Horowitz, University of Iowa, “An Adaptive, Rate-Optimal Test of a Parametric Model Against a Nonparametric Alternative”
Feb. 14 In Choi, Yale University, “Cointegrating Smooth Transition Regressions with Applications to the Asian Currency Crisis”
Feb. 28 Sam Thompson, Harvard University, “Specification Tests for Conditional Distributions, with an Application to Models for the Spot Interest Rate”
Mar. 21 Javier Hidalgo, London School of Economics, “Estimation of the Location of the Pole: The Parametric and Nonparametric Approach”
Mar. 28 Robert de Jong, Michigan State University, “Least Squares with Powers of Integrated Processes as Regressors”
Apr. 11 Susanne Schennach, University of Chicago, “Estimation of Nonlinear Models with Measurement Error”
1998/99  
Sep. 16 Peter C.B. Phillips, Yale University, “Nonlinear Integration”
Sep. 23 Mototsugu Shintani, Yale University, “A Simple Cointegrating Rank Test Without Parametric Specification”
Sep. 30 James MacKinnon, Queens University, “Bootstrap Tests of Nonnested Linear Regression Models”
Oct. 7 Binbin Guo, Yale University, “Testing for Autocorrelation and Unit Roots in the Presence of Conditional Heteroskedasticity of Unknown Form”
Oct. 14 Alex Maynard, Yale University, “Rethinking an Old Empirical Puzzle: Econometric Evidence on the Forward Discount Anomaly”
Oct. 21 Federico Bandi, Yale University, “Some New Methods in the Econometrics of Continuous-Time Finance”
Oct. 28 Woocheol Kim, Yale University, “Econometric Analysis of Locally Stationary Time Series Models”
Nov. 4 Tim Vogelsang, Cornell University, “Simple Robust Testing of Regression Hypotheses”
Nov. 11 Werner Ploberger, University of Rochester, “A Complete Class of Tests When the Likelihood is LAQ”
Nov. 18 Woocheol Kim, Yale University, “Econometric Analysis of Evolving Time Series Models”
Dec. 2 Binbin Guo, Yale University, “Testing, Estimation and Applications of Autoregressive Models with Conditional Heteroskedasticity”
Feb. 14 In Choi, Yale University, “Cointegrating Smooth Transition Regressions with Applications to the Asian Currency Crisis”
Feb. 28 Sam Thompson, Harvard University, “Specification Tests for Conditional Distributions, with an Application to Models for the Spot Interest Rate”
Mar. 21 Javier Hidalgo, LSE, “Estimation of the Location of the Pole: The Parametric and Nonparametric Approach”
Mar. 28 Robert de Jong, Michigan State University, “Least Squares with Powers of Integrated Processes as Regressors”
Apr. 11 Susanne Schennach, University of Chicago, “Estimation of Nonlinear Models with Measurement Error”